Should words be capitalized because they're loanwords?

No, loanwords as a rule aren't capitalized, and they shouldn't be capitalized just because they're loanwords.

Noh, however, is sometimes viewed as a proper name for a type of Japanese drama. Proper names are capitalized in English. That's the only explanation. Italics aren't always available, especially in databases.

There's another Japanese word, Go, for 囲碁 (igo) (圍棋 wéiqí in Chinese), the board game with black and white stones. The name of this game is also capitalized because it's the same as a very common English verb. This distinguishes Go the Chinese/Japanese board game from go the English verb, which is never capitalized unless it comes at the beginning of a sentence. Sometimes this word is spelled Goe and Igo.